This study uses a GARCH model to estimate conditional volatility in the Indian overnight money market during the period 1999-2006. It finds that the bid-ask spread in the overnight market was positively related to conditional volatility during 1999-2002. This relationship, however, has undergone...

In the wake of deregulation of prices of some petroleum products, we estimate the pass-through impact of international oil prices on the Indian economy. In contrast to global trends, we find evidence of higher pass-through to domestic inflation and industrial output, particularly since 2002 when...

We examine the interactions between monetary policy and the term structure of the g-sec market in India through a SVAR model comprising macroeconomic variables and latent factors of the yield curve. Among macroeconomic factors, while monetary policy has the dominant impact on level and...

Money market microstructure has recently started drawing attention in the empirical literature on financial markets of emerging market economies. In the Indian context, a GARCH(1, 1) model shows that policy instruments impact bid-ask spreads in the money market. Volatility of bid-ask spreads...

The paper investigates whether the effects of monetary policy on firm investment can be transmitted through leverage. The findings indicate that monetary contractions reduce investment for highly leveraged firms. The estimates imply that a 1percentage point increase in leverage reduces...

In the literature, the underperformance of IPOs is a well-documented empirical anomaly. This study concentrates on IPOs from the banking sector of an emerging economy, India. In a developing country, the role of the banking sector for economic development is undisputed. In view of its importance...

Countercyclical capital buffer (CCCB) has been incorporated in the Basel III framework with the aim of ensuring that banking sector capital requirements take account of the macro-financial environment in which banks operate. It is likely to address pro-cyclicality in the banking business and its...

We find evidence of significant volatility co-movements and/or spillover from different financial markets to the forex market in India. Among a large number of variables examined, volatility spillovers from domestic stock, government securities, overnight index swap, Ted spread and international...

We find evidences of significant volatility co-movements and/ or spillover from different financial markets to forex market for Indian economy. Among a large number of variables examined, volatility spillovers from stock market, government securities market, overnight index swap, Ted spread and...